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4 papers · 2 filters
Persistence for a class of order-one autoregressive processes and Mallows-Riordan polynomials
Gerold Alsmeyer, Alin Bostan, Kilian Raschel +1
We establish exact formulae for the persistence probabilities of an AR(1) sequence with symmetric uniform innovations in terms of certain families of polynomials, most notably a fa…
Large population asymptotics for a multitype stochastic SIS epidemic model in randomly switched environment
Adrien Prodhomme, Édouard Strickler
We consider an epidemic SIS model described by a multitype birth-and-death process in a randomly switched environment. That is, the infection and cure rates of the process depend o…
An expansion formula for Hawkes processes and application to cyber-insurance derivatives
Caroline Hillairet, Anthony Reveillac, Mathieu Rosenbaum
In this paper we provide an expansion formula for Hawkes processes which involves the addition of jumps at deterministic times to the Hawkes process in the spirit of the well-known…
Arbitrary order total variation Convergence of Markov semigroups using random grids
Clément Rey
We provide a abstract framework to prove total variation convergence result with arbitrary rate for numerical scheme for SDE. In particular we show that under standard weak approxi…